Stochastic processes are used extensively throughout quantitative finance - for example, to simulate asset prices in risk models that aim to estimate key risk metrics such as Value-at-Risk (VaR), Expected Shortfall (ES) and Potential Future Exposure (PFE). Estimating the parameters of a stochastic processes - referred to as ‘calibration’ in the parlance …

A common pattern for deploying Machine Learning (ML) models into production environments - e.g. a ML model trained using the SciKit-Learn package in Python and ready to provide predictions on new data - is to expose them as RESTful API microservices hosted from within Docker containers, that are in-turn deployed to …

Building machine learning and statistical models often requires pre- and post-transformation of the input and/or response variables, prior to training (or fitting) the models. For example, a model may require training on the logarithm of the response and input variables. As a consequence, fitting and then generating predictions from …

Elasticsearch is a distributed NoSQL document store search-engine and column-oriented database, whose fast (near real-time) reads and powerful aggregation engine make it an excellent choice as an ‘analytics database’ for R&D, production-use or both. Installation is simple, it ships with default settings that allow it to work effectively out-of-the-box …

Every now and again someone comes along and writes an R package that I consider to be a ‘game changer’ for the language and it’s application to Data Science. For example, I consider dplyr one such package as it has made data munging/manipulation that more intuitive and more …

Quite often I want to share simple (static) web pages with other colleagues or clients. For example, I may have written a report using R Markdown and rendered it to HTML. AWS S3 can easily host such a simple web page (e.g. see here), but it cannot, however, offer …

Parts one, two and three of this series of posts have taken us from creating an account on AWS to loading and interacting with data in Spark via R and R Studio. My vision of a Data Science platform for R&D is nearly complete - the only outstanding component is …

Part 1 and Part 2 of this series dealt with setting up AWS, loading data into S3, deploying a Spark cluster and using it to access our data. In this part we will deploy R and R Studio Server to our Spark cluster’s master node and use it to …

Part 1 in this series of blog posts describes how to setup AWS with some basic security and then load data into S3. This post walks-through the process of setting up a Spark cluster on AWS and accessing our S3 data from within Spark.

Here’s my vision: I get into the office and switch-on my laptop; then I start-up my Spark cluster; I interact with it via RStudio to exploring a new dataset a client uploaded overnight; after getting a handle on what I want to do with it, I prototype an ETL …